Аннотация:
We consider Markowitz's multicriteria portfolio optimization problem with Wald's ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.
Ключевые слова и фразы:multicriteria optimization, investment portfolio, Wald's maximin efficient criteria, lexicographically optimal portfolio, stability radius.
Полный текст:
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